I have been tracking several threads that deal with daily trading systems. In these threads, in addition to my own research, I have found that one question seems to crop up on a regular basis: How much does Pair X retrace on any given day? The answer to this question can have several different applications. It can help you set effective SLs. It can dictate the level for more advantageous entry points. It can also define the point at which a price move is considered a true "breakout".
So with that in mind, I've run some analysis on the daily retracement values for all of the major pairs. For each pair, I first calculated the average range (day's high minus day's low). Then I determined each pair's retracement value. If the pair closed down (closing price lower than opening price), then I considered the retracement to be the day's high minus the day's opening price. If pair closed up, I considered the retracement to be the day's opening price minus the day's low. The following values were calculated based on data going back to 1998 for GBPUSD:
Pair: GBPUSD
Daily Range: 137
Daily Retracement: 36
Retracement %: 26%
1 / 21 / 0.9%
2 / 30 / 2.3%
3 / 28 / 3.5%
4 / 37 / 5.2%
5 / 34 / 6.7%
6 / 31 / 8.1%
7 / 40 / 9.8%
8 / 37 / 11.5%
9 / 34 / 13.0%
10 / 37 / 14.6%
11 / 41 / 16.5%
12 / 33 / 17.9%
13 / 34 / 19.5%
14 / 43 / 21.4%
15 / 34 / 22.9%
16 / 46 / 24.9%
17 / 45 / 26.9%
18 / 45 / 28.9%
19 / 33 / 30.4%
20 / 84 / 34.1%
21 / 37 / 35.8%
22 / 34 / 37.3%
23 / 33 / 38.8%
24 / 45 / 40.8%
25 / 44 / 42.7%
26 / 33 / 44.2%
27 / 40 / 46.0%
28 / 39 / 47.7%
29 / 36 / 49.3%
30 / 35 / 50.9%
31 / 30 / 52.2%
32 / 36 / 53.8%
33 / 25 / 54.9%
34 / 39 / 56.7%
35 / 36 / 58.3%
36 / 31 / 59.7%
37 / 32 / 61.1%
38 / 21 / 62.0%
39 / 32 / 63.4%
40 / 55 / 65.9%
41 / 20 / 66.8%
42 / 25 / 67.9%
43 / 30 / 69.2%
44 / 25 / 70.3%
45 / 25 / 71.5%
46 / 23 / 72.5%
47 / 21 / 73.4%
48 / 29 / 74.7%
49 / 13 / 75.3%
50 / 17 / 76.0%
51 / 23 / 77.1%
52 / 15 / 77.7%
53 / 21 / 78.7%
54 / 22 / 79.7%
55 / 13 / 80.2%
56 / 19 / 81.1%
57 / 12 / 81.6%
58 / 20 / 82.5%
59 / 18 / 83.3%
60 / 31 / 84.7%
61 / 12 / 85.2%
62 / 16 / 85.9%
63 / 8 / 86.3%
64 / 8 / 86.6%
65 / 13 / 87.2%
66 / 10 / 87.7%
67 / 13 / 88.2%
68 / 16 / 89.0%
69 / 3 / 89.1%
70 / 11 / 89.6%
71 / 11 / 90.1%
72 / 8 / 90.4%
73 / 12 / 91.0%
74 / 7 / 91.3%
75 / 9 / 91.7%
76 / 8 / 92.0%
77 / 3 / 92.2%
78 / 8 / 92.5%
79 / 4 / 92.7%
80 / 17 / 93.5%
81 / 4 / 93.6%
82 / 4 / 93.8%
83 / 5 / 94.0%
84 / 6 / 94.3%
85 / 5 / 94.5%
86 / 4 / 94.7%
87 / 4 / 94.9%
88 / 7 / 95.2%
89 / 5 / 95.4%
90 / 2 / 95.5%
91 / 2 / 95.6%
92 / 3 / 95.7%
93 / 7 / 96.0%
94 / 2 / 96.1%
95 / 4 / 96.3%
96 / 2 / 96.4%
97 / 2 / 96.5%
98 / 2 / 96.6%
99 / 2 / 96.7%
100 / 10 / 97.1%
101 / 2 / 97.2%
102 / 3 / 97.3%
103 / 3 / 97.5%
104 / 2 / 97.6%
105 / 1 / 97.6%
108 / 3 / 97.7%
109 / 1 / 97.8%
111 / 2 / 97.9%
112 / 1 / 97.9%
113 / 2 / 98.0%
115 / 2 / 98.1%
116 / 1 / 98.1%
117 / 1 / 98.2%
118 / 1 / 98.2%
119 / 2 / 98.3%
120 / 1 / 98.4%
121 / 1 / 98.4%
123 / 1 / 98.4%
124 / 1 / 98.5%
125 / 1 / 98.5%
126 / 2 / 98.6%
130 / 3 / 98.8%
131 / 2 / 98.8%
132 / 3 / 99.0%
140 / 1 / 99.0%
141 / 3 / 99.2%
144 / 1 / 99.2%
145 / 2 / 99.3%
146 / 1 / 99.3%
154 / 1 / 99.4%
156 / 1 / 99.4%
321 / 1 / 99.5%
In the above list, the first number is the amount of daily retracement in pips. In this dataset you can see that the smallest retracement is at the top of list - 1 pip. The largest retracement is at the bottom of the list - 321 pips.
The second number indicates the number of days in which this particular retracement was experienced. Working from the first row down, you can see that there were 21 days when GBPUSD experienced a retracement of only a single pip, 30 days when there was a retracement of 2 pips, 28 days when there was a retracement of 3 pips, etc.
The third number represents the cumulative percentage of results at or below that level. For example, there were 37 days that experienced a retracement of exactly 10 pips. But for all the days in the data set, 14.6% of them had a retracement value of 10 pips or less.
You can see that as you go farther down the list, the percentage naturally grows ever-closer to 100%. (It never actually reaches 100% because days in which the opening price equaled the closing price were excluded.)
I will give a warning here: This list only accounts for that retracement which is encompassed within a single day. This method does not account for retracements that span several consecutive days. It certainly feasible to assume that an entire day's bar/candle, or a series of bars/candles, can constitute one sustained retracement. My numbers do nothing to calculate those occurences.
So with that in mind, I've run some analysis on the daily retracement values for all of the major pairs. For each pair, I first calculated the average range (day's high minus day's low). Then I determined each pair's retracement value. If the pair closed down (closing price lower than opening price), then I considered the retracement to be the day's high minus the day's opening price. If pair closed up, I considered the retracement to be the day's opening price minus the day's low. The following values were calculated based on data going back to 1998 for GBPUSD:
Pair: GBPUSD
Daily Range: 137
Daily Retracement: 36
Retracement %: 26%
1 / 21 / 0.9%
2 / 30 / 2.3%
3 / 28 / 3.5%
4 / 37 / 5.2%
5 / 34 / 6.7%
6 / 31 / 8.1%
7 / 40 / 9.8%
8 / 37 / 11.5%
9 / 34 / 13.0%
10 / 37 / 14.6%
11 / 41 / 16.5%
12 / 33 / 17.9%
13 / 34 / 19.5%
14 / 43 / 21.4%
15 / 34 / 22.9%
16 / 46 / 24.9%
17 / 45 / 26.9%
18 / 45 / 28.9%
19 / 33 / 30.4%
20 / 84 / 34.1%
21 / 37 / 35.8%
22 / 34 / 37.3%
23 / 33 / 38.8%
24 / 45 / 40.8%
25 / 44 / 42.7%
26 / 33 / 44.2%
27 / 40 / 46.0%
28 / 39 / 47.7%
29 / 36 / 49.3%
30 / 35 / 50.9%
31 / 30 / 52.2%
32 / 36 / 53.8%
33 / 25 / 54.9%
34 / 39 / 56.7%
35 / 36 / 58.3%
36 / 31 / 59.7%
37 / 32 / 61.1%
38 / 21 / 62.0%
39 / 32 / 63.4%
40 / 55 / 65.9%
41 / 20 / 66.8%
42 / 25 / 67.9%
43 / 30 / 69.2%
44 / 25 / 70.3%
45 / 25 / 71.5%
46 / 23 / 72.5%
47 / 21 / 73.4%
48 / 29 / 74.7%
49 / 13 / 75.3%
50 / 17 / 76.0%
51 / 23 / 77.1%
52 / 15 / 77.7%
53 / 21 / 78.7%
54 / 22 / 79.7%
55 / 13 / 80.2%
56 / 19 / 81.1%
57 / 12 / 81.6%
58 / 20 / 82.5%
59 / 18 / 83.3%
60 / 31 / 84.7%
61 / 12 / 85.2%
62 / 16 / 85.9%
63 / 8 / 86.3%
64 / 8 / 86.6%
65 / 13 / 87.2%
66 / 10 / 87.7%
67 / 13 / 88.2%
68 / 16 / 89.0%
69 / 3 / 89.1%
70 / 11 / 89.6%
71 / 11 / 90.1%
72 / 8 / 90.4%
73 / 12 / 91.0%
74 / 7 / 91.3%
75 / 9 / 91.7%
76 / 8 / 92.0%
77 / 3 / 92.2%
78 / 8 / 92.5%
79 / 4 / 92.7%
80 / 17 / 93.5%
81 / 4 / 93.6%
82 / 4 / 93.8%
83 / 5 / 94.0%
84 / 6 / 94.3%
85 / 5 / 94.5%
86 / 4 / 94.7%
87 / 4 / 94.9%
88 / 7 / 95.2%
89 / 5 / 95.4%
90 / 2 / 95.5%
91 / 2 / 95.6%
92 / 3 / 95.7%
93 / 7 / 96.0%
94 / 2 / 96.1%
95 / 4 / 96.3%
96 / 2 / 96.4%
97 / 2 / 96.5%
98 / 2 / 96.6%
99 / 2 / 96.7%
100 / 10 / 97.1%
101 / 2 / 97.2%
102 / 3 / 97.3%
103 / 3 / 97.5%
104 / 2 / 97.6%
105 / 1 / 97.6%
108 / 3 / 97.7%
109 / 1 / 97.8%
111 / 2 / 97.9%
112 / 1 / 97.9%
113 / 2 / 98.0%
115 / 2 / 98.1%
116 / 1 / 98.1%
117 / 1 / 98.2%
118 / 1 / 98.2%
119 / 2 / 98.3%
120 / 1 / 98.4%
121 / 1 / 98.4%
123 / 1 / 98.4%
124 / 1 / 98.5%
125 / 1 / 98.5%
126 / 2 / 98.6%
130 / 3 / 98.8%
131 / 2 / 98.8%
132 / 3 / 99.0%
140 / 1 / 99.0%
141 / 3 / 99.2%
144 / 1 / 99.2%
145 / 2 / 99.3%
146 / 1 / 99.3%
154 / 1 / 99.4%
156 / 1 / 99.4%
321 / 1 / 99.5%
In the above list, the first number is the amount of daily retracement in pips. In this dataset you can see that the smallest retracement is at the top of list - 1 pip. The largest retracement is at the bottom of the list - 321 pips.
The second number indicates the number of days in which this particular retracement was experienced. Working from the first row down, you can see that there were 21 days when GBPUSD experienced a retracement of only a single pip, 30 days when there was a retracement of 2 pips, 28 days when there was a retracement of 3 pips, etc.
The third number represents the cumulative percentage of results at or below that level. For example, there were 37 days that experienced a retracement of exactly 10 pips. But for all the days in the data set, 14.6% of them had a retracement value of 10 pips or less.
You can see that as you go farther down the list, the percentage naturally grows ever-closer to 100%. (It never actually reaches 100% because days in which the opening price equaled the closing price were excluded.)
I will give a warning here: This list only accounts for that retracement which is encompassed within a single day. This method does not account for retracements that span several consecutive days. It certainly feasible to assume that an entire day's bar/candle, or a series of bars/candles, can constitute one sustained retracement. My numbers do nothing to calculate those occurences.